private void BaseCurveCallback(ICoreItem baseCurveItem)
{
try
{
// check for server shutdown
if (GetState() != BasicServerState.Running)
{
return;
}
// refresh all curves
// - update market data
// - regenerate curves
DateTime dtNow = DateTime.Now;
// Curve identifiers
var nameSpace = baseCurveItem.AppProps.GetValue <string>(EnvironmentProp.NameSpace, true);
var marketName = baseCurveItem.AppProps.GetValue <string>(CurveProp.Market, true);
var curveType = baseCurveItem.AppProps.GetValue <string>(CurveProp.PricingStructureType, true);
var curveName = baseCurveItem.AppProps.GetValue <string>(CurveProp.CurveName, true);
// });
//}
var curveGenRequest = new OrdinaryCurveGenRequest
{
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = IntClient.Target.ClientInfo.Name,
DisplayName = "Curve Generation Server"
},
BaseDate = dtNow.Date,
NameSpace = nameSpace,
SaveMarketData = false,
UseSavedMarketData = true,
ForceGenerateEODCurves = false,
CurveSelector = new[] { new CurveSelection
{
NameSpace = nameSpace,
MarketName = marketName,
CurveType = curveType,
CurveName = curveName
} }
};
IWorkContext context = new WorkContext(Logger, IntClient.Target, "DEV");
using (var workflow = new WFGenerateOrdinaryCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(curveGenRequest);
WorkflowHelper.ThrowErrors(output.Errors);
}
}
catch (Exception excp)
{
Logger.LogDebug("Base curve generation failed with exception: {0}", excp.GetType().Name);
Logger.Log(excp);
}
}
private RequestBase CreateCurveGenRequest()
{
// get curve identifiers
IExpression curveDefFilter = Expr.BoolAND(
Expr.IsEQU(CurveProp.Function, "Configuration"),
Expr.IsEQU(CurveProp.Market, CurveConst.QR_LIVE),
Expr.IsNull(CurveProp.MarketDate));
DateTime dtNow = DateTime.Now;
// - hack get reference curves 1st
List <string> curveItemNames = new List <string>();
List <CurveSelection> referenceCurveSelectors = new List <CurveSelection>();
List <CurveSelection> remainingCurveSelectors = new List <CurveSelection>();
List <ICoreItem> curveDefItems = _ClientRef.Target.LoadItems <Market>(curveDefFilter);
foreach (ICoreItem curveDefItem in curveDefItems)
{
string marketName = curveDefItem.AppProps.GetValue <string>(CurveProp.Market, true);
string curveType = curveDefItem.AppProps.GetValue <string>(CurveProp.PricingStructureType, true);
string curveName = curveDefItem.AppProps.GetValue <string>(CurveProp.CurveName, true);
string refCurveName = curveDefItem.AppProps.GetValue <string>(CurveProp.ReferenceCurveName, null);
((refCurveName == null) ? referenceCurveSelectors : remainingCurveSelectors).Add(new CurveSelection()
{
MarketName = marketName,
CurveType = curveType,
CurveName = curveName
});
}
List <CurveSelection> curveSelectors = new List <CurveSelection>(referenceCurveSelectors);
curveSelectors.AddRange(remainingCurveSelectors);
OrdinaryCurveGenRequest request = new OrdinaryCurveGenRequest()
{
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity()
{
Name = _ClientRef.Target.ClientInfo.Name,
DisplayName = "Grid Test Harness"
},
SubmitTime = DateTimeOffset.Now.ToString("o"),
BaseDate = dtNow.Date,
SaveMarketData = false,
UseSavedMarketData = false,
ForceGenerateEODCurves = false,
CurveSelector = curveSelectors.ToArray()
};
_ClientRef.Target.SaveObject <OrdinaryCurveGenRequest>(request);
return(request);
}
public void ProcessItems()
{
int count = Interlocked.Decrement(ref _queuedCalls);
// exit if there are more callbacks following us
//if (count % 10000 == 0)
_loggerRef.Target.LogDebug("ProcessItems: Queued calls remaining: {0}", count);
if (count != 0)
{
return;
}
ICoreItem item = null;
_queuedItems.Locked(queue =>
{
if (queue.Count > 0)
{
item = queue.Dequeue();
}
});
while (item != null)
{
var qas = item.Data as QuotedAssetSet;
if (qas != null)
{
// 1. Get the property values that uniquely identify the curves to refresh.
// This is the process for the workflow request. Alternatively, a direct build of the curve can occur.
//
var nameSpace = item.AppProps.GetValue <string>(EnvironmentProp.NameSpace);
var market = item.AppProps.GetValue <string>(CurveProp.Market);//For real time use Market and not MarketAndDate
var curveType = item.AppProps.GetValue <string>(CurveProp.PricingStructureType);
var curveName = item.AppProps.GetValue <string>(CurveProp.CurveName);
var configIdentifier = FunctionProp.Configuration + ".PricingStructures." + market + "." + curveType + "." + curveName;
var identifier = FunctionProp.Market + "." + market + "." + curveType + "." + curveName;
List <ICoreItem> items = null;
// 2.Check if the dependent curves should be refreshed
//
if (chkBoxDependentCurves.Checked)
{
//Find all the QAS's where the ReferenceCurveName is equal to the curveType.curveName!
var requestProperties = new NamedValueSet();
requestProperties.Set(EnvironmentProp.NameSpace, NameSpace);
requestProperties.Set(CurveProp.Market, market);
requestProperties.Set(EnvironmentProp.Function, FunctionProp.Configuration);
requestProperties.Set(CurveProp.ReferenceCurveName, curveType + '.' + curveName);
IExpression queryExpr = Expr.BoolAND(requestProperties);
_loggerRef.Target.LogDebug("Dependent curve property request set at {0}", DateTime.Now.ToLongTimeString());
items = _cache.LoadItems <Market>(queryExpr);
}
// 3. If the build is a local build then use the curve engine.
//
if (!chkBoxWorkflow.Checked)
{
_loggerRef.Target.LogDebug("Request to build base curve {0} locally at : {1}", identifier,
DateTime.Now.ToLongTimeString());
var curve = CurveEngine.RefreshPricingStructureFromConfiguration(_loggerRef.Target, _cache, nameSpace, configIdentifier, identifier, qas, DateTime.Now, DateTime.Now);
_loggerRef.Target.LogDebug("Built the base curve {0} locally at : {1}", curve,
DateTime.Now.ToLongTimeString());
if (items != null)
{
foreach (var dataItem in items)
{
var spreadCurve = dataItem.Data as Market;
if (spreadCurve == null)
{
continue;
}
//var bootstrap = dataItem.AppProps.GetValue<bool>(CurveProp.BootStrap, false);
//if (!bootstrap) { dataItem.AppProps.Set(CurveProp.BootStrap, true); }
try
{
var curveId = spreadCurve.id;
if (String.IsNullOrEmpty(curveId))
{
curveId = spreadCurve.Items[0].id;
//use yieldCurve.id, CurveGen 1.X compatible
}
dataItem.AppProps.Set(CurveProp.BaseDate, DateTime.Now);
dataItem.AppProps.Set(CurveProp.BuildDateTime, DateTime.Now);
var marketData =
new Pair <PricingStructure, PricingStructureValuation>(spreadCurve.Items[0],
spreadCurve.Items1[0]);
var ps = PricingStructureFactory.Create(_loggerRef.Target, _cache, nameSpace, null, null,
marketData, dataItem.AppProps);
if (ps != null)
{
CurveEngine.SaveCurve(_cache, nameSpace, ps);
}
_loggerRef.Target.LogDebug("Built the spread curve {0} locally at : {1}",
curveId,
DateTime.Now.ToLongTimeString());
}
catch (Exception e)
{
_loggerRef.Target.LogDebug(e.ToString());
}
}
}
}
else
{
// 4. Set the parameters for the work request.
//
var curveGenRequest = new OrdinaryCurveGenRequest
{
NameSpace = nameSpace,
BaseDate = DateTime.Now,
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = _cache.ClientInfo.Name,
DisplayName = _cache.ClientInfo.UserFullName
//Name = _clientRef.Target.ClientInfo.Name,
//DisplayName = _clientRef.Target.ClientInfo.UserFullName
},
UseSavedMarketData = true,
ForceGenerateEODCurves = true
};
// 5. Set the base curve in the curve selection for the work request.
//
var curveSelector = new List <CurveSelection>
{
new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = curveType,
CurveName = curveName
}
};
// 6.Include all other dependent curvenames i.e. spread curves.
//
if (items != null)
{
curveSelector.AddRange(from childCurve in items
let spreadCurveType =
childCurve.AppProps.GetValue <string>(
CurveProp.PricingStructureType)
let spreadCurveName =
childCurve.AppProps.GetValue <string>(CurveProp.CurveName)
select new CurveSelection
{
NameSpace = nameSpace,
MarketName = market,
CurveType = spreadCurveType,
CurveName = spreadCurveName
});
}
curveGenRequest.CurveSelector = curveSelector.ToArray();
// 7. Set the actual work request.
//
IWorkContext context = new WorkContext(_loggerRef.Target, _cache, "DEV");
//IWorkContext context = new WorkContext(_loggerRef.Target, _clientRef.Target, "DEV");
_loggerRef.Target.LogDebug("WorkContext set at {0}", DateTime.Now.ToLongTimeString());
using (var workflow = new WFGenerateOrdinaryCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(curveGenRequest);
WorkflowHelper.ThrowErrors(output.Errors);
foreach (var error in output.Errors)
{
_loggerRef.Target.LogInfo("WorkFlow error: {0} at {1}", error.Message, DateTime.Now.ToLongTimeString());
}
}
_loggerRef.Target.LogDebug("WorkFlow executed at {0}", DateTime.Now.ToLongTimeString());
//item = null;
//_queuedItems.Locked(queue =>
// {
// if (queue.Count > 0)
// item = queue.Dequeue();
// });
}
}
}
}
public void ProcessRequest(RequestBase baseRequest, HandlerResponse response)
{
if (baseRequest == null)
{
throw new ArgumentNullException("request");
}
OrdinaryCurveGenRequest request = baseRequest as OrdinaryCurveGenRequest;
if (request == null)
{
throw new InvalidCastException(String.Format("{0} is not a {1}", typeof(RequestBase).Name, typeof(OrdinaryCurveGenRequest).Name));
}
CurveSelection[] curveSelectors = request.CurveSelector ?? new List <CurveSelection>().ToArray();
response.ItemCount = curveSelectors.Length;
DateTime lastStatusPublishedAt = DateTime.Now;
// check for workflow cancellation
if (this.Cancelled)
{
throw new OperationCanceledException(this.CancelReason);
}
// iterate selected curves
foreach (CurveSelection curveSelector in curveSelectors)
{
// publish 'intermediate' in-progress result (throttled)
if ((DateTime.Now - lastStatusPublishedAt) > TimeSpan.FromSeconds(5))
{
lastStatusPublishedAt = DateTime.Now;
response.Status = RequestStatusEnum.InProgress;
_Context.Cache.SaveObject <HandlerResponse>(response);
}
string inputMarketName = curveSelector.MarketName;
string inputCurveName = curveSelector.CurveName;
string inputCurveType = curveSelector.CurveType;
// given a curve definition, this workflow generates:
// - a live base curve using current market data
// load curve definition
_Context.Logger.LogDebug("Building ordinary curve: {0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
string curveUniqueId = string.Format("Orion.Configuration.PricingStructures.{0}.{1}.{2}", inputMarketName, inputCurveType, inputCurveName);
ICoreItem marketItem = LoadAndCheckMarketItem(_Context.Cache, curveUniqueId);
var marketDate = curveSelector.MarketDate;
Market market = marketItem.GetData <Market>(true);
//AssertSomeQuotesMissing(((YieldCurveValuation)(cachedMarket.Items1[0])).inputs);
//Market clonedMarket = BinarySerializerHelper.Clone<Market>(cachedMarket);
PricingStructure ps = market.Items[0];
PricingStructureValuation psv = market.Items1[0];
// supply base data and build datetime
psv.baseDate = new IdentifiedDate {
Value = request.BaseDate
};
QuotedAssetSet curveDefinition;
if (psv is YieldCurveValuation)
{
curveDefinition = ((YieldCurveValuation)psv).inputs;
}
else if (psv is FxCurveValuation)
{
curveDefinition = ((FxCurveValuation)psv).spotRate;
}
else
{
throw new NotSupportedException("Unsupported PricingStructureValuation type: " + psv.GetType().Name);
}
// default outputs
var curveDefProps = new NamedValueSet(marketItem.AppProps);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);//.GetValue<string>(CurveProp.PricingStructureType, true));
var curveName = curveDefProps.GetValue <string>(CurveProp.CurveName, true);
string marketDataItemName = String.Format("Highlander.MarketData.{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set("BootStrap", true);
curveDefProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier liveCurveId = PricingStructureIdentifier.CreateMarketCurveIdentifier(curveDefProps, inputMarketName, null, null, null, null);
NamedValueSet liveCurveProps = liveCurveId.Properties;
var liveCurveItemName = liveCurveProps.GetValue <string>(CurveProp.UniqueIdentifier, true);
var liveCurve = new Market(); // empty
// given a curve definition, this workflow generates:
// - a live base curve using current market data
var curveGenProps = new NamedValueSet();
curveGenProps.Set(CurveProp.BaseDate, request.BaseDate);
IPricingStructureIdentifier curveUniqueId =
PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, marketDate, inputCurveType, inputCurveName, null);
var baseCurveUniqueId = curveUniqueId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true);
ICoreItem marketItem = LoadAndCheckMarketItem(_Context.Cache, baseCurveUniqueId);
// load curve definition
_Context.Logger.LogDebug("Copy curve: {0} to {1}", baseCurveUniqueId, inputMarketName);
// default outputs
curveDefProps = new NamedValueSet(marketItem.AppProps);
curveDefProps.Set(CurveProp.MarketAndDate, inputMarketName);
curveDefProps.Set(CurveProp.MarketDate, null);
var curveType = PropertyHelper.ExtractPricingStructureType(curveDefProps);
IPricingStructureIdentifier newCurveUniqueId =
PricingStructureIdentifier.CreateMarketCurveIdentifier(curveGenProps, inputMarketName, null, inputCurveType, inputCurveName, null);
var curveId = newCurveUniqueId.Properties.GetValue <string>(CurveProp.UniqueIdentifier, true);
//var curveName = curveDefProps.GetValue<string>(CurveProp.CurveName, true);
//string marketItemName = String.Format("Highlander.Market.{0}.{1}.{2}", inputMarketName, curveType, curveName);
curveDefProps.Set(CurveProp.UniqueIdentifier, curveId);
_Context.Cache.SaveObject <Market>((Market)marketItem.Data, curveId, curveDefProps, true, TimeSpan.FromDays(50));
// curve done
requestStatus.IncrementItemsPassed();
// publish 'completed' in-progress result
requestStatus.Publish(_Context.Logger, _Context.Cache);
}
// success
requestStatus.Status = RequestStatusEnum.Completed;
// publish 'completed' in-progress result
requestStatus.Publish(_Context.Logger, _Context.Cache);
return(requestStatus);
}
public void ProcessItems()
{
int count = Interlocked.Decrement(ref _queuedCalls);
// exit if there are more callbacks following us
if (count % 10000 == 0)
{
_loggerRef.Target.LogDebug("ProcessItems: Queued calls remaining: {0}", count);
}
if (count != 0)
{
return;
}
ICoreItem item = null;
_queuedItems.Locked(queue =>
{
if (queue.Count > 0)
{
item = queue.Dequeue();
}
});
while (item != null)
{
if (item.Data is QuotedAssetSet)
{
var nameSpace = item.AppProps.GetValue <string>(EnvironmentProp.NameSpace);
var marketName = item.AppProps.GetValue <string>(CurveProp.MarketAndDate);
var curveType = item.AppProps.GetValue <string>(CurveProp.PricingStructureType);
var curveName = item.AppProps.GetValue <string>(CurveProp.CurveName);
var curveGenRequest = new OrdinaryCurveGenRequest
{
NameSpace = nameSpace,
BaseDate = DateTime.Now,
RequestId = Guid.NewGuid().ToString(),
RequesterId = new UserIdentity
{
Name = _clientRef.Target.ClientInfo.Name,
DisplayName = _clientRef.Target.ClientInfo.UserFullName
},
UseSavedMarketData = true,
ForceGenerateEODCurves = true,
CurveSelector = new[] { new CurveSelection
{
NameSpace = nameSpace,
MarketName = marketName,
CurveType = curveType,
CurveName = curveName
} }
};
IWorkContext context = new WorkContext(_loggerRef.Target, _clientRef.Target, "DEV");
using (var workflow = new WFGenerateOrdinaryCurve())
{
workflow.Initialise(context);
WorkflowOutput <HandlerResponse> output = workflow.Execute(curveGenRequest);
WorkflowHelper.ThrowErrors(output.Errors);
}
item = null;
_queuedItems.Locked(queue =>
{
if (queue.Count > 0)
{
item = queue.Dequeue();
}
});
}
}
}
